Reflected BSDEs with monotone generator
Probability
2018-10-09 v1
Abstract
We give necessary and sufficient condition for existence and uniqueness of -solutions of reflected BSDEs with continuous barrier, generator monotone with respect to and Lipschitz continuous with respect to , and with data in , . We also prove that the solutions may be approximated by the penalization method.
Cite
@article{arxiv.1810.03404,
title = {Reflected BSDEs with monotone generator},
author = {Tomasz Klimsiak},
journal= {arXiv preprint arXiv:1810.03404},
year = {2018}
}